Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 10 is Best) 5 4 6
Score -2.02 -1.86 -0.23
Market Cap (Millions USD) 69478.27 68947.77 66737.57
Predicted Beta 1.3 1.3 1.31
Idiosyncratic Volatility 1.27 1.04 2.32

Annualized return and volatility

VXF
Annualized Return 0.0936
Annualized Std Dev 0.2053
Annualized Sharpe (Rf=0%) 0.4562

Row

Daily Return Statistics

VXF
Observations 4601.0000
NAs 513.0000
Minimum -0.1098
Quartile 1 -0.0053
Median 0.0009
Arithmetic Mean 0.0004
Geometric Mean 0.0004
Quartile 3 0.0070
Maximum 0.0995
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0129
Skewness -0.3217
Kurtosis 7.0201

Downside Risk

VXF
Semi Deviation 0.0094
Gain Deviation 0.0088
Loss Deviation 0.0101
Downside Deviation (MAR=210%) 0.0140
Downside Deviation (Rf=0%) 0.0092
Downside Deviation (0%) 0.0092
Maximum Drawdown 0.5804
Historical VaR (95%) -0.0196
Historical ES (95%) -0.0311
Modified VaR (95%) -0.0202
Modified ES (95%) -0.0373
From Trough To Depth Length To Trough Recovery
2007-10-10 2009-03-09 2011-01-03 -0.5804 830 364 466
2002-04-17 2002-10-09 2003-08-21 -0.3165 348 125 223
2011-05-02 2011-10-03 2012-03-26 -0.2764 230 109 121
2015-06-24 2016-02-11 2016-11-15 -0.2504 359 164 195
2018-08-30 2018-12-24 2019-11-25 -0.2471 317 82 235

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec VXF
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA NA NA NA NA NA NA NA
2001 NA NA NA NA NA NA NA NA NA NA NA NA NA
2002 0.1 1.2 0.3 0.4 0.0 -2.9 -1.4 0.0 0.7 0.8 0.0 0.0 -0.8
2003 0.0 0.0 0.3 0.5 0.0 0.4 -0.8 0.0 1.3 0.0 1.0 0.0 2.7
2004 0.0 1.1 0.7 0.0 0.2 -0.7 0.0 0.6 1.4 0.3 1.2 0.0 5.1
2005 0.7 0.6 -0.3 0.0 0.6 0.2 0.1 0.3 0.0 0.0 1.8 0.0 4.1
2006 0.2 1.4 0.0 -0.5 1.7 0.0 -1.0 0.6 0.0 -1.4 -0.2 0.0 0.8
2007 1.0 -0.4 0.0 0.2 0.5 0.0 0.3 0.0 1.6 -2.6 0.0 0.0 0.6
2008 3.0 0.0 3.2 1.4 0.0 0.1 0.0 0.0 -0.7 0.0 -11.0 0.0 -4.6
2009 0.0 0.0 1.9 0.1 3.1 1.4 0.0 -2.1 -3.4 0.0 1.4 0.0 2.2
2010 1.5 1.8 0.9 0.0 -2.9 -0.7 0.0 3.5 0.5 -0.2 2.2 0.0 6.6
2011 1.8 -2.0 0.5 0.0 -2.7 1.6 -0.5 -1.8 0.0 -3.3 -0.4 0.0 -6.7
2012 2.1 0.7 0.0 0.2 -3.1 0.0 -1.1 0.0 0.0 1.8 0.0 0.0 0.6
2013 0.8 0.3 -1.1 -1.8 0.0 1.5 1.7 0.0 1.3 0.0 0.0 0.0 2.6
2014 0.0 0.0 1.2 0.2 0.0 0.9 -0.2 0.0 -1.5 0.0 -1.5 0.0 -1.0
2015 0.0 0.0 -0.3 0.6 0.2 0.4 0.0 -2.6 -0.1 0.0 0.8 0.0 -1.0
2016 -0.1 2.1 0.4 0.0 0.6 0.3 -0.2 0.1 0.0 -1.0 -0.7 0.0 1.5
2017 -0.2 1.5 0.0 0.5 1.7 0.0 0.2 0.4 0.0 -0.3 -0.4 0.0 3.5
2018 0.2 -0.5 0.0 0.3 0.8 0.0 0.0 0.0 -0.9 2.0 0.0 0.0 2.0
2019 0.4 0.7 1.1 -0.9 0.0 0.6 -1.3 0.0 -1.7 1.4 0.0 0.2 0.4

Row

Rolling Performance Chart

Snail Trail Chart